Let Yt satisfy the stochastic difference equation Yt=Σ j=1 pα jYt-j+Σ j=1 qθ jet-j+et, for t = 1,2,..., where et are independent and identically distributed random variables with mean zero and ...

The standard testing procedures for seasonal unit roots developed so far have been based mainly on time-invariant autoregressive integrated moving average (ARIMA) processes with AR polynomials ...